論文

査読有り
2014年8月

International stock market efficiency: a non-Bayesiantime- varying model approach

APPLIED ECONOMICS
  • Mikio Ito
  • ,
  • Akihiko Noda
  • ,
  • Tatsuma Wada

46
23
開始ページ
2744
終了ページ
2754
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1080/00036846.2014.909579
出版者・発行元
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.

リンク情報
DOI
https://doi.org/10.1080/00036846.2014.909579
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000335849200004&DestApp=WOS_CPL
ID情報
  • DOI : 10.1080/00036846.2014.909579
  • ISSN : 0003-6846
  • eISSN : 1466-4283
  • Web of Science ID : WOS:000335849200004

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